Books

by me

The Poker Face of Wall Street

John Wiley & Sons, 2006

This is the first full-length book I wrote on my own. I was playing poker one night with John Wiley & Son's business editor, Bill Falloon. It was the height of the poker boom, and he told me, "Give me a poker book I can put on the business shelf and I'll publish it." So I did, and he did. It won some awards and sold en​ough copies to come out in paperback and let me publish whatever books I liked in the future, at least so far.

I didn't think Morgan Stanley would let me do it, but they did. The only flack I got was when Bloomberg titled its review "Morgan Stanley's Risk Manager Plays Poker on the Trading Floor." Neal Shear, the head of trading at the time, called to yell at me. I thought he was upset that people would think it was irresponsible for the risk manager to be gambling during working hours. But, no, he wanted to know why I was telling people I was head of trading at Morgan Stanley, when that was his title. I explained that the article didn't say that, and anyway, I had had no contact with the author. So he hung up satisfied.
 

Financial Risk Management for Dummies

For Dummies Press, 2015

Writing a For Dummies book made me think about the line from the movie version of Robert Heinlein's Starship Troopers. To paraphrase, "We need an author. You're it, until you're dead or we find someone better."

Unlike regular editors who coddle and flatter you, the For Dummies machine chews up your pages and spits them out for you to fix. The editors leave you in no doubt that people will buy the book for the yellow cover, your name is on it in small letters as an unfortunate necessity.

I learned a lot from the experience. Taking a complicated field like financial risk management and breaking it down into straightforward parts that could be read in any order was a challenge. The old saying that the best way to learn something is to teach it is certainly true, and maybe the best way to teach it is to run through For Dummies boot camp.
 

A World of Chance

With Reuven and Gabrielle Brenner, Cambridge University Press, 2008

Reuven and Gabrielle Brenner wrote the classic 1990 work Gambling and Speculation for Cambridge University Press, which revolutionized the academic study of gambling for both historians and economists. When Cambridge asked Reuven and Gabrielle to write a second edition they asked for my input about poker and financial markets. I started out as an advisor, then wrote a chapter, then two, and ended up as a co-author.
 

Red-Blooded Risk

Illustrations by Eric Kim, John Wiley & Sons, 2011

This book is mainly about financial markets, history and theory, plus risk management. I reached out to some of my famous manga artists to add illustrations plus extensive graphic sections to present the material from a different perspective. Eric Kim was the best match and working with such a talented artist was a real treat.
 

Fischer Black on Markets

Forthcoming

I worked with Fischer Black for nearly 20 years, although I never really knew him, and he was a tremendous influence on my thinking. I have a dozen banker's boxes of papers including unpublished work by Fischer, work we did together and miscellaneous material like a market newsletter that he wrote for several years.

Some of this is very important material the world should see, so I'm working through it for publication. The working title, Fischer Black on Markets, is taken from Fischer's newsletter. 
 

Books

partly by me

Fischer Black and the Revolutionary Idea of Finance

I wrote the preface to Perry Mehrling's masterful biography of Fischer, John Wiley & Sons, 2011

I was honored when Professor Perry Mehrling asked me to write the preface for his book. Although I had known Fischer for half my life when he died, I never really knew him until I read this biography.

A lot of good things in my life came to me through Fischer. I got a reputation for being his student, and I guess I was the closest thing he had to one. But mostly people would ask me, "Did Fischer really mean. . ." and I would always answer "yes."
 

Counterparty Credit Risk

I wrote a chapter in this survey of the field, Risk Books, 2010

I worked with Eduardo Canaberro at Morgan Stanley, and he asked me to tackle the question of systemic counterparty credit risk in this professional book. I usually turn down such requests, because the publishers pay the authors and editors nothing, the only reward is one free copy which you have to badger them to get, and charge readers hundreds of dollars. But Eduardo is too gracious a guy for anyone to say "no" to, and I happened to have a lot to say on the topic.
 

The Number that Killed Us

Pablo Triana wrote this book for John Wiley & Sons, 2011, and included a long chapter from me

I am known as one of the most committed defenders of Value at Risk, so why did I contribute to this vehement attack on the measure? Pablo wanted to interview Nassim Taleb for the book, as Nassim is a well-known critic. Nassim told him that it would be unbalanced, and that Pablo would have to let me have a rebuttal, because Nassim considers me the only rational person who defends VaR. Pablo has always insisted he intended to ask me before Nassim made it a demand, and he's a nice guy and honest, so I guess I believe him. Anyway, it was fun to do.
 

The Best of Wilmott I

I contributed a chapter to Paul's anthology, John Wiley & Sons, 2005

I write a regular column for Paul's quantitative finance magazine, one of which was selected for this anthology. The plan was to publish one of these each year, but the second installment was the last. So far, anyway.
 

The Best of Wilmott II

I contributed a chapter to the sequel of Paul's anthology, John Wiley & Sons, 2006

Sadly, this was to be the final installment of the short-running series.
 

Frontiers of Risk Management

I wrote the chapter on Monte Carlo for this professional book by Euromoney International Investor, 2007

I gave a talk at the Courant Mathematical Finance lecture series on the uses of Monte Carlo in risk management. Dennis Cox attended and asked me to write up the lecture for his book. I agreed because I was not familiar with how these things worked. When I discovered that authors are not paid but the publisher charges hundreds of dollars for the books, I declared it would be my last contribution of this type. I don't mind writing for free, I do it a lot, but no one else should be getting rich off of it. I did violate this declaration once for Eduardo Canabarro as mentioned above.
 

Derivative Models on Models

Espen Haug asked me to write a section for his book, John Wiley & Sons, 2007

Espen, a.k.a. "The Collector," is an unusual guy. He was pistol champion of the Norweigan army, and spent his military service guarding the King. He was among the most innovative and prolific quantitative options traders in the 1990s, after which he retired to write a book with a new theory of physics. I've read that book, which not many people have, and I can say that all the math works, and the ideas are testable in principle. However they have not been tested, and I don't think anyone is in a hurry to do it. Anyway, I wrote up some stuff on derivative trading for his book.
 

Books

partly about me

The Quants

I am featured in Scott Patterson's account of quant hedge funds, Crown Business, 2010

I spent time with Soctt going over how quant hedge funds work and what the Quant Equity Crash of August 2007 was like. What Quant Equity Crash of August 2007, you ask? That was Scott's problem. When he started his book, everyone thought that crash was a big deal. But by the time he was finished, some much bigger crashes had wiped it from memory. Nevertheless, the book did quite well and remains one of the few detailed accounts of that world.
 

Bull, Bear and Brains

Adam Leitzes and Joshua Solan profiled me in a chapter in their book, John WIley & Sons, 2002

I was profiled as a brain, by the way, in case you're wondering. The chapter is titled (their choice, not mine) "Confessions of a Consummate Contrarian: Aaron Brown." Like Scott Patterson eight years later, Joshua and Adam were unfortunate in their timing. In 1999 when they began the book, their subtitle, "Investing with the Best and the Brightest of the Financial Internet" was a good thing. By 2002, not so much.